Sensitivities for Bermudan options by regression methods
| Year of publication: |
2010
|
|---|---|
| Authors: | Belomestny, Denis ; Milstein, G. ; Schoenmakers, John |
| Published in: |
Decisions in Economics and Finance. - Springer, ISSN 1593-8883. - Vol. 33.2010, 2, p. 117-138
|
| Publisher: |
Springer |
| Subject: | American and Bermudan options | Optimal stopping times | Monte Carlo simulation | Deltas | Conditional probabilistic representations | Regression methods |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008775972